hard · Quantitative Finance qf-core
In the Merton structural model, a firm has assets worth 150M with an asset volatility of 30%. It has a zero-coupon debt of 100M maturing in 1 year. If r=0.05, find d_2 for the default probability calculation.
- 1.368
- 1.302
- 1.668
- 0.852
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